In my case, this well-known error message appears if I seek to shut down Windows using Windows' own button; it is accompanied by Windows restarting as if I had clicked Restart. If I shut down via Parallel's Actions > Shut Down, there is no problem. Any clues? Latest High Sierra version, latest Windows 10 version, latest Parallels version.
The solution worked! Thank you AJ. I wonder where that setting change came from! No matter, I'm happy now!